Thursday, October 08, 2020

Stocks Higher into Afternoon on Vaccine Optimism, Stimulus Hopes, Oil Gain, Energy/Homebuilding Sector Strength

 Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 27.1 -3.3%
  • Bloomberg Global Risk On/Risk Off Index 254.0 +51.0 points
  • Euro/Yen Carry Return Index 129.1 -.03%
  • Emerging Markets Currency Volatility(VXY) 11.7 +.3%
  • S&P 500 Implied Correlation 47.8 -6.9%
  • ISE Sentiment Index 129.0 +25.0 points
  • Total Put/Call .77 +2.7%
  • NYSE Arms .55 -3.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.84 -2.4%
  • US Energy High-Yield OAS 816.71 -.87%
  • European Financial Sector CDS Index 70.71 +.89%
  • Italian/German 10Y Yld Spread 128.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 68.51 -3.0%
  • Emerging Market CDS Index 207.49 -1.5%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.36 +.10%
  • 2-Year Swap Spread 9.0 +.5 basis point
  • TED Spread 14.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.25 -1.75 basis points
  • MBS  5/10 Treasury Spread  85.75 +.75 basis points
  • IHS Markit CMBX BBB- 6 67.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.43 +.05%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 62.75 +2.75 basis points
  • China Iron Ore Spot 118.50 USD/Metric Tonne +.55%
  • Citi US Economic Surprise Index 152.5 -2.7 points
  • Citi Eurozone Economic Surprise Index 47.60 unch.
  • Citi Emerging Markets Economic Surprise Index 46.1 -.7 point
  • 10-Year TIPS Spread 1.72 +2.0 basis points
  • 100.0% chance of no change at Dec. 16th meeting, 100.0% chance of no change at Jan. 27th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +33 open in Japan 
  • China A50 Futures: Indicating +321 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio:
  • Higher: On gains in my medical/industrial/consumer staple/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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